Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
文献类型：期刊论文
| 作者 | Song,Minghui1; Yu,Hui1,2 |
| 刊名 | Advances in Difference Equations
 |
| 出版日期 | 2012-12-13 |
| 卷号 | 2012期号:1 |
| 关键词 | stochastic differential equations Poisson random measure convergence exponential mean-square stability |
| ISSN号 | 1687-1847 |
| DOI | 10.1186/1687-1847-2012-214 |
| 英文摘要 | AbstractIn this paper, an implicit compensated Euler method is introduced for stochastic differential equations with Poisson random measure. A convergence theorem is proved to show that the method obtains a strong order 0.5. After exploiting the conditions of exponential mean-square stability of such equations, the implicit compensated Euler method is proved to share the same stability for any step size. Numerical examples indicate the performance of the convergence and stability. |
| 语种 | 英语 |
| WOS记录号 | BMC:10.1186/1687-1847-2012-214 |
| 出版者 | Springer International Publishing |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/323]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Song,Minghui |
| 作者单位 | 1.Harbin Institute of Technology; Department of Mathematics 2.Heilongjiang Bayi Agricultural University; Department of Mathematics |
| 推荐引用方式 GB/T 7714 | Song,Minghui,Yu,Hui. Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure[J]. Advances in Difference Equations,2012,2012(1). |
| APA | Song,Minghui,&Yu,Hui.(2012).Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure.Advances in Difference Equations,2012(1). |
| MLA | Song,Minghui,et al."Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure".Advances in Difference Equations 2012.1(2012). |
入库方式： OAI收割
来源：数学与系统科学研究院
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